P/L comparison
Buy & hold
P/L COMPARISON · PERCENT FROM ENTRY
buy & hold · participation factor overlaybuy & hold · Qlib / Alpha158 baseline
Weekly rebalance
P/L COMPARISON · PERCENT FROM ENTRY
weekly rebalance · participation factor overlayweekly rebalance · Qlib / Alpha158 baseline
Performance tables
| Management | Arm | Horizon | Status | Return | Maximum | Max date | Drawdown |
|---|---|---|---|---|---|---|---|
| buy & hold | participation factor overlay | 3 months | complete | -1.85% | 5.02% | 2023-02-02 | -6.54% |
| buy & hold | participation factor overlay | 6 months | complete | -3.87% | 5.02% | 2023-02-02 | -9.20% |
| buy & hold | Qlib / Alpha158 baseline | 3 months | complete | -1.37% | 6.19% | 2023-02-02 | -7.11% |
| buy & hold | Qlib / Alpha158 baseline | 6 months | complete | -5.30% | 6.19% | 2023-02-02 | -11.64% |
| weekly rebalance | participation factor overlay | 3 months | complete | 3.58% | 7.51% | 2023-02-02 | -4.57% |
| weekly rebalance | participation factor overlay | 6 months | complete | 1.37% | 7.51% | 2023-02-02 | -7.80% |
| weekly rebalance | Qlib / Alpha158 baseline | 3 months | complete | 3.78% | 8.02% | 2023-02-02 | -6.39% |
| weekly rebalance | Qlib / Alpha158 baseline | 6 months | complete | 0.01% | 8.02% | 2023-02-02 | -9.12% |
Position ledger
This portfolio holds the initial selection. There are no scheduled rebalance decisions after entry.
Selected arm positions
50 positions in the selected record: buy & hold · participation factor overlay. The charts and performance table above contain all four arms in this formation group.
| Ticker | Entry date | Entry open | Model prediction | Participation score | Excluded |
|---|---|---|---|---|---|
| AAP | 2022-11-28 | 136.79 | 0.3112 | 0.5000 | no |
| ADBE | 2022-11-28 | 335.83 | 0.4141 | 0.5153 | no |
| AEE | 2022-11-28 | 78.08 | 0.3593 | 0.4372 | no |
| AEP | 2022-11-28 | 84.74 | 0.6100 | 0.4933 | no |
| AMT | 2022-11-28 | 192.41 | 0.3110 | 0.4553 | no |
| C | 2022-11-28 | 42.32 | 0.5591 | 0.5199 | no |
| CMS | 2022-11-28 | 54.02 | 0.4627 | 0.4998 | no |
| CNP | 2022-11-28 | 27.97 | 0.3757 | 0.4635 | no |
| CRM | 2022-11-28 | 149.15 | 0.2872 | 0.4751 | no |
| CSX | 2022-11-28 | 30.17 | 0.2609 | 0.5025 | no |
| DIS | 2022-11-28 | 95.22 | 0.2880 | 0.4604 | no |
| DLR | 2022-11-28 | 96.17 | 0.3993 | 0.4443 | no |
| DUK | 2022-11-28 | 85.85 | 0.4319 | 0.5246 | no |
| EBAY | 2022-11-28 | 41.88 | 0.2942 | 0.4514 | no |
| ED | 2022-11-28 | 85.33 | 0.4973 | — | no |
| EIX | 2022-11-28 | 53.06 | 0.2654 | 0.5544 | no |
| EL | 2022-11-28 | 202.29 | 0.2670 | 0.4756 | no |
| ES | 2022-11-28 | 69.60 | 0.5986 | 0.5237 | no |
| ETR | 2022-11-28 | 49.69 | 0.6695 | 0.5237 | no |
| EXC | 2022-11-28 | 34.82 | 0.3055 | 0.5196 | no |
| FAST | 2022-11-28 | 23.85 | 0.3444 | 0.4627 | no |
| FDS | 2022-11-28 | 432.94 | 0.2786 | 0.4990 | no |
| GWW | 2022-11-28 | 581.31 | 0.3205 | 0.4795 | no |
| INTC | 2022-11-28 | 28.06 | 0.2452 | 0.4963 | no |
| INTU | 2022-11-28 | 383.05 | 0.2386 | 0.4898 | no |
| KMB | 2022-11-28 | 114.98 | 0.3136 | 0.4383 | no |
| LNT | 2022-11-28 | 49.34 | 0.5044 | 0.5350 | no |
| LUV | 2022-11-28 | 35.77 | 0.5430 | 0.4426 | no |
| MO | 2022-11-28 | 32.92 | 0.2383 | 0.4426 | no |
| MS | 2022-11-28 | 80.18 | 0.3041 | 0.4744 | no |
| NEE | 2022-11-28 | 75.64 | 0.3551 | 0.4885 | no |
| NTAP | 2022-11-28 | 68.49 | 0.3243 | 0.5111 | no |
| OGN | 2022-11-28 | 21.34 | 0.4206 | 0.5246 | no |
| OKE | 2022-11-28 | 52.77 | 0.4033 | 0.5871 | no |
| OXY | 2022-11-28 | 63.82 | 0.3636 | 0.7115 | no |
| PEG | 2022-11-28 | 51.26 | 0.3809 | 0.5103 | no |
| PKG | 2022-11-28 | 117.80 | 0.2911 | 0.4932 | no |
| PM | 2022-11-28 | 82.29 | 0.2998 | 0.4618 | no |
| PNW | 2022-11-28 | 64.95 | 0.6489 | 0.5086 | no |
| PPL | 2022-11-28 | 25.37 | 0.5402 | 0.5175 | no |
| SBAC | 2022-11-28 | 275.06 | 0.4177 | 0.4647 | no |
| SPGI | 2022-11-28 | 324.90 | 0.4613 | 0.4644 | no |
| SRE | 2022-11-28 | 72.05 | 0.4409 | 0.5247 | no |
| SWKS | 2022-11-28 | 81.57 | 0.3649 | 0.5126 | no |
| TSLA | 2022-11-28 | 179.96 | 0.4459 | 0.4871 | no |
| UNP | 2022-11-28 | 192.75 | 0.2993 | 0.5183 | no |
| UPS | 2022-11-28 | 148.32 | 0.2619 | 0.4781 | no |
| WEC | 2022-11-28 | 85.97 | 0.4143 | 0.5057 | no |
| WY | 2022-11-28 | 27.68 | 0.2749 | 0.4769 | no |
| XEL | 2022-11-28 | 60.63 | 0.3634 | 0.5414 | no |